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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Calvert Global Water Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Calvert Global Water Fund (CFWAX) has returned -1.37% so far this year and 12.60% over the past 12 months. Over the last ten years, CFWAX has returned 8.44% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
Calvert Global Water Fund
- 1D
- 0.07%
- 1M
- -11.15%
- YTD
- -1.37%
- 6M
- -1.97%
- 1Y
- 12.60%
- 3Y*
- 8.77%
- 5Y*
- 5.11%
- 10Y*
- 8.44%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Sep 30, 2008, CFWAX's average daily return is +0.04%, while the average monthly return is +0.71%. At this rate, your investment would double in approximately 8.2 years.
Historically, 60% of months were positive and 40% were negative. The best month was Apr 2009 with a return of +14.1%, while the worst month was Oct 2008 at -20.0%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 6 months.
On a daily basis, CFWAX closed higher 52% of trading days. The best single day was Oct 13, 2008 with a return of +11.5%, while the worst single day was Mar 16, 2020 at -11.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.24% | 4.49% | -11.15% | -1.37% | |||||||||
| 2025 | 2.10% | -0.81% | -1.07% | 3.29% | 3.25% | 3.22% | -0.10% | 3.67% | 0.75% | -0.52% | 1.11% | -1.19% | 14.38% |
| 2024 | -3.92% | 4.63% | 3.08% | -3.68% | 4.49% | -2.80% | 6.32% | 2.15% | 4.07% | -5.96% | 2.54% | -5.97% | 3.91% |
| 2023 | 8.66% | -2.23% | 1.47% | 0.08% | -1.71% | 5.81% | 2.63% | -3.71% | -7.18% | -3.43% | 10.90% | 7.37% | 18.34% |
| 2022 | -7.87% | -2.72% | -0.07% | -7.48% | -0.00% | -7.65% | 9.22% | -5.33% | -9.86% | 7.98% | 8.83% | -4.10% | -19.63% |
| 2021 | -0.95% | 3.11% | 4.33% | 4.34% | 1.49% | -0.35% | 3.34% | 3.20% | -5.76% | 4.37% | -1.27% | 5.29% | 22.59% |
Benchmark Metrics
Calvert Global Water Fund has an annualized alpha of -1.26%, beta of 0.87, and R² of 0.81 versus S&P 500 Index. Calculated based on daily prices since October 01, 2008.
- This fund participated in 105.34% of S&P 500 Index downside but only 93.11% of its upside — more exposed to losses than it benefited from rallies.
- With beta of 0.87 and R² of 0.81, this fund moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- -1.26%
- Beta
- 0.87
- R²
- 0.81
- Upside Capture
- 93.11%
- Downside Capture
- 105.34%
Expense Ratio
CFWAX has a high expense ratio of 1.24%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
CFWAX ranks 31 for risk / return — below 31% of mutual funds on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Calvert Global Water Fund (CFWAX) and compare them to a chosen benchmark (S&P 500 Index).
| CFWAX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.79 | 0.90 | -0.11 |
Sortino ratioReturn per unit of downside risk | 1.21 | 1.39 | -0.18 |
Omega ratioGain probability vs. loss probability | 1.15 | 1.21 | -0.06 |
Calmar ratioReturn relative to maximum drawdown | 0.87 | 1.40 | -0.53 |
Martin ratioReturn relative to average drawdown | 3.32 | 6.61 | -3.29 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore CFWAX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
Calvert Global Water Fund provided a 4.84% dividend yield over the last twelve months, with an annual payout of $1.39 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.39 | $1.39 | $2.47 | $0.72 | $0.36 | $0.28 | $0.19 | $0.19 | $0.23 | $0.19 | $0.00 | $0.00 |
Dividend yield | 4.84% | 4.77% | 9.25% | 2.57% | 1.47% | 0.93% | 0.77% | 0.83% | 1.30% | 0.93% | 0.00% | 0.03% |
Monthly Dividends
The table displays the monthly dividend distributions for Calvert Global Water Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | |||||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.39 | $1.39 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $2.47 | $2.47 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.72 | $0.72 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.36 | $0.36 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.28 | $0.28 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Calvert Global Water Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Calvert Global Water Fund was 39.67%, occurring on Mar 9, 2009. Recovery took 133 trading sessions.
The current Calvert Global Water Fund drawdown is 11.96%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -39.67% | Oct 3, 2008 | 107 | Mar 9, 2009 | 133 | Sep 16, 2009 | 240 |
| -36.25% | Feb 13, 2020 | 27 | Mar 23, 2020 | 141 | Oct 12, 2020 | 168 |
| -30.61% | Jun 11, 2014 | 404 | Jan 15, 2016 | 421 | Sep 18, 2017 | 825 |
| -29.17% | Jan 3, 2022 | 198 | Oct 14, 2022 | 393 | May 9, 2024 | 591 |
| -21.3% | May 2, 2011 | 108 | Oct 3, 2011 | 221 | Aug 17, 2012 | 329 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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